The minimal entropy martingale measure and the valuation problem in incomplete markets (Q5890187)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 1582843
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | The minimal entropy martingale measure and the valuation problem in incomplete markets |
scientific article; zbMATH DE number 1582843 |
Statements
29 March 2001
0 references
martingales
0 references
equivalent martingale measures
0 references
relative entropy
0 references
incomplete markets
0 references
asset pricing
0 references
The minimal entropy martingale measure and the valuation problem in incomplete markets (English)
0 references
0.8654487133026123
0 references
0.8454170227050781
0 references
0.8430672883987427
0 references
0.823293149471283
0 references
